SAP ABAP Data Element DF_DTE_MEANREV (Reversion Rate for Hull/White Volatilities)
Hierarchy
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SAP_APPL (Software Component) Logistics and Accounting
⤷
TR (Application Component) Treasury
⤷
FTDF (Package) Treasury: Datafeed TR-TM-TM-TO-DF
SAP_APPL (Software Component) Logistics and Accounting⤷
TR (Application Component) Treasury⤷
FTDF (Package) Treasury: Datafeed TR-TM-TM-TO-DF
Basic Data
| Data Element | DF_DTE_MEANREV |
| Short Description | Reversion Rate for Hull/White Volatilities |
Data Type
| Category of Dictionary Type | D | Domain |
| Type of Object Referenced | No Information | |
| Domain / Name of Reference Type | RM_MEANREV | |
| Data Type | DEC | Counter or amount field with comma and sign |
| Length | 16 | |
| Decimal Places | 8 | |
| Output Length | 20 | |
| Value Table |
Further Characteristics
| Search Help: Name | ||
| Search Help: Parameters | ||
| Parameter ID | ||
| Default Component name | ||
| Change document | ||
| No Input History | ||
| Basic direction is set to LTR | ||
| No BIDI Filtering |
Field Label
| Length | Field Label | |
| Short | 10 | Rev.Rate |
| Medium | 20 | Reversion Rate |
| Long | 40 | Reversion Rate |
| Heading | 60 | Reversion Rate |
Documentation
Definition
Together with the volatility, the mean reversion describes the time dependence of the variance.
Use
Dependencies
This figure is used in relation to the interest structure model of Hull and White. This model is used in certain price calculators starting in the Enterprise Financial Extension 2.00 release.
Example
History
| Last changed by/on | SAP | 20030410 |
| SAP Release Created in | 470 |
